Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0317
Annualized Std Dev 0.2684
Annualized Sharpe (Rf=0%) 0.1180

Row

Daily Return Statistics

Close
Observations 3522.0000
NAs 1.0000
Minimum -0.1684
Quartile 1 -0.0072
Median 0.0010
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0083
Maximum 0.2110
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0169
Skewness -0.0625
Kurtosis 15.8349

Downside Risk

Close
Semi Deviation 0.0123
Gain Deviation 0.0120
Loss Deviation 0.0134
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.6507
Historical VaR (95%) -0.0250
Historical ES (95%) -0.0406
Modified VaR (95%) -0.0224
Modified ES (95%) -0.0224
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2021-01-05 -0.6507 3317 267 3050
2007-07-24 2007-08-16 2007-09-19 -0.1789 41 18 23
2021-02-18 2021-03-08 NA -0.0895 23 13 NA
2021-01-21 2021-01-29 2021-02-05 -0.0502 12 7 5
2007-10-19 2007-10-19 2007-10-26 -0.0411 6 1 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA 0.6 0.3 1.5 -0.9 -1 3 2.6 -3.2 1 -0.5 3.2
2008 2.9 -3.7 2.7 1.6 0.2 -1.6 -0.8 -0.9 0.9 1.3 -6.5 1.3 -2.9
2009 -0.4 -2.8 3.5 2.4 4.7 1.4 0.8 -1.2 -2.2 -4.7 2.5 0.1 3.7
2010 2.1 1.9 1.8 -1.2 -2 0.7 0.1 2.9 1.6 0.5 2.4 0.5 11.9
2011 2.1 -0.5 1.1 0.6 -1.6 1.1 -0.1 0.2 -3 -2.7 -0.4 0 -3.3
2012 1.6 0.4 0.8 1.3 -2.7 4.2 0.2 1 0.7 1.6 0.2 1.6 11.4
2013 0.7 0.3 -0.5 -0.8 -1.9 0.7 1.8 0.8 1.7 -0.1 1 0.8 4.5
2014 0 -0.5 0.8 0.3 -1.3 0.5 0.2 0 -1.4 0.7 -1.7 -0.1 -2.4
2015 -2.8 0.1 1.4 0.3 0 -0.3 0.7 -3.9 0.3 -0.1 0.9 0.2 -3.3
2016 -0.5 3.1 0.5 0.2 0.1 0.8 -0.1 0.6 0.2 -1.1 -0.9 -0.6 2.2
2017 0.4 1.4 -1 0.5 0.7 0.6 0.7 0.6 1 0.2 -0.8 0.3 4.9
2018 -0.8 -0.1 1.8 -0.3 1.3 2 -0.5 0.5 0 3.5 0 -0.3 7.2
2019 -0.6 0.1 1.4 -0.6 0.4 1.5 -1.9 0.7 -0.6 1.4 -1.1 0.2 0.9
2020 -1.9 -0.7 -3.8 -3.3 2.1 1.1 -0.5 1.8 0.9 -1 2 -0.1 -3.4
2021 2.7 2.6 1 NA NA NA NA NA NA NA NA NA 6.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-03-23  28.7 SPY    143.  0.0015    0.0351  -0.017    0.0082   0.0998    0.308    0.244 GLD    65.2 -0.00930   0.0082
2 2007-03-26  29.1 SPY    143. -0.0013    0.0214  -0.0145   0.0075   0.101     0.308    0.245 GLD    65.8  0.0106    0.017 
3 2007-03-27  28.6 SPY    143. -0.00240   0.0134  -0.0159   0.0088   0.0972    0.304    0.258 GLD    65.7 -0.0021    0.0066
4 2007-03-28  28.2 SPY    142. -0.0073   -0.0103   0.0166   0.0076   0.0908    0.278    0.241 GLD    66.0  0.0053    0.0035
5 2007-03-29  28.5 SPY    142.  0.0011   -0.0085   0.0074   0.0028   0.0987    0.279    0.239 GLD    65.6 -0.0061   -0.0017
6 2007-03-30  28.7 SPY    142   0.0002   -0.0097   0.0106  -0.0036   0.0921    0.261    0.24  GLD    65.7  0.0014    0.0091
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart